arfima.coefs

This function calculates the coefficients \(c_k, k \geq 0\) corresponding to
\(\theta(z)\phi^{-1}(z)(1-z)^{-d} = \sum_{k = 0}^{\infty}c_k z^k\),
up to a truncation point

Implements the copula-based estimator for univariate long-range dependent processes, introduced in Pumi et al. (2023) <doi:10.1007/s00362-023-01418-z>. Notably, this estimator is capable of handling missing data and has been shown to perform exceptionally well, even when up to 70% of data is missing (as reported in <doi:10.48550/arXiv.2303.04754>) and has been found to outperform several other commonly applied estimators.

Taiane Schaedler Prass

PPMiss

Copula-Based Estimator for Long-Range Dependent Processes under
Missing Data

Guilherme Pumi

arfima.coefs function

<dl><dt>ar</dt>
<dd>the coefficients of the autoregressive polinomial. Default is NULL</dd>
<dt>ma</dt>
<dd>the coefficients of the moving average polinomial. Default is null</dd>
<dt>d</dt>
<dd>the long memory parameter. Default is 0.</dd>
<dt>trunc</dt>
<dd>the truncation point. Default is 1.</dd></dl>

Arguments

Coefficients of an ARFIMA(p,d,q) model — arfima.coefs

<dl>

<dt>ar</dt>
<dd>the coefficients of the autoregressive polinomial. Default is NULL</dd>


<dt>ma</dt>
<dd>the coefficients of the moving average polinomial. Default is null</dd>


<dt>d</dt>
<dd>the long memory parameter. Default is 0.</dd>


<dt>trunc</dt>
<dd>the truncation point. Default is 1.</dd>

</dl>

arfima.coefs: Coefficients of an ARFIMA(p,d,q) model

Description

Usage

Value

Arguments

Examples